Does it matter in which country the z Visa is processed

I currently live in china with a student visa. Now I Got a a job offer and recieved a work permit.
I booked my flight back to Egypt to apply for the Z type. But my company is telling me that when they applied for the work permit for me they stated that the work Z type will be done in the Chinese embassy in hongkong. So they are afraid that the Z type can't be done in Chinese embassy in Egypt and that it should be done in the Chinese embassy in hongking.
Is that true ? Does it matter in which country the z type is processed ?